Lampiran 1. Sampel Saham Penelitian secara Keseluruhan

LAMPIRAN

Lampiran 1. Sampel Saham Penelitian secara Keseluruhan

NO KODE NAMA EMITEN

1 ADRO Adaro Energy Tbk 2 ASII Astra Internasional Tbk 3 BBCA Bank Central Asia Tbk 4 BBNI Bank Negara Indonesia Tbk 5 BBRI Bank Rakyat Indonesia Tbk 6 BMRI Bank Mandiri Tbk

7 GGRM Gudang Garam Tbk

8 ICBP Indofood CBP Sukses Makmur Tbk 9 INDF Indofood Sukses Makmur Tbk 10 INTP Indocement Tunggal Prakasa Tbk 11 KLBF Kalbe Farma Tbk

12 LPKR Lippo Karawaci Tbk 13 MNCN Media Nusantara Citra Tbk 14 PGAS Pertamina GAS Tbk

15 SMGR Semen Indonesia (persero) Tbk 16 TLKM Telekomunikasi Indonesia Tbk 17 UNTR United Tractor Tbk

18 UNVR Unilever Indonesia Tbk

Lampiran 2. Sampel Saham Winner dan Loser Periode 1 Bulan

SAHAM CAR PERINGKAT KET

BBRI 0.0068510 1 WINNER

BBNI 0.0065918 2 WINNER

BMRI 0.0043080 3 WINNER

INTP 0.0023969 4 WINNER

TLKM 0.0016096 5 WINNER

ICBP 0.0015122 6

PGAS 0.0013943 7

LPKR 0.0013728 8

KLBF 0.0006637 9

UNVR 0.0003567 10

BBCA -0.0000167 11

INDF -0.0008906 12

ADRO -0.0019050 13

SMGR -0.0037989 14 LOSER

UNTR -0.0038032 15 LOSER

GGRM -0.0043106 16 LOSER

ASII -0.0071964 17 LOSER

MNCN -0.0107298 18 LOSER

Lampiran 3. Sampel Saham Winner dan Loser Periode 3 Bulan

SAHAM CAR PERINGKAT KET

BBRI 0.00330 1 WINNER

BBNI 0.00297 2 WINNER

LPKR 0.02334 3 WINNER

BMRI 0.00148 4 WINNER

PGAS 0.00038 5 WINNER

GGRM 0.00032 6

INTP 0.00023 7

BBCA -0.00017 8

KLBF -0.00041 9

SMGR -0.00053 10

UNVR -0.00080 11

INDF -0.00080 12

ASII -0.00097 13

UNTR -0.00115 14 LOSER

ADRO -0.00127 15 LOSER

TLKM -0.00127 16 LOSER

MNCN -0.00160 17 LOSER

ICBP -0.00235 18 LOSER

Lampiran 4. Hasil Analisis Reaksi Berlebihan dari Investor Periode 1 Bulan

PENGUJIAN OVERREACTION BERDASARKAN NILAI ACAR

ACAR PENGUJIAN OVERREACTION

REPLIKASI WINNER LOSER SELISIH ACAR W <

0 ACAR L > 0

ACAR L - ACAR W >

0 0 0.00787 -0.00804 -0.01591

No

Overreaction No

Overreaction No

Overreaction 1 -0.00013 0.00148 0.00161 Overreaction Overreaction Overreaction 2 0.00038 -0.00005 -0.00043

No

Overreaction No

Overreaction No

Overreaction 3 -0.00147 0.00463 0.00610 Overreaction Overreaction Overreaction 4 0.00389 -0.00327 -0.00716

No

Overreaction No

Overreaction No

Overreaction 5 -0.00169 0.00024 0.00193 Overreaction Overreaction Overreaction 6 0.00230 -0.00118 -0.00349

No

Overreaction No

Overreaction No

Overreaction 7 0.00112 0.00105 -0.00008

No

Overreaction Overreaction No

Overreaction 8 -0.00250 0.00094 0.00344 Overreaction Overreaction Overreaction 9 0.00514 -0.00654 -0.01168

No

Overreaction No

Overreaction No

Overreaction 10 0.00040 -0.00282 -0.00321

No

Overreaction No

Overreaction No

Overreaction 11 0.00019 0.00040 0.00021

No

Overreaction Overreaction Overreaction 12 -0.00260 0.00059 0.00318 Overreaction Overreaction Overreaction 13 0.00370 -0.00416 -0.00786

No

Overreaction No

Overreaction No

Overreaction 14 -0.00185 -0.00033 0.00152 Overreaction

No

Overreaction Overreaction 15 -0.00046 -0.00545 -0.00499 Overreaction

No

Overreaction No

Overreaction 16 0.00099 -0.00155 -0.00254

No

Overreaction No

Overreaction No

Overreaction 17 -0.00255 0.00116 0.00371 Overreaction Overreaction Overreaction 18 -0.00142 0.00486 0.00628 Overreaction Overreaction Overreaction 19 0.00567 -0.00513 -0.01080

No

Overreaction No

Overreaction No

Overreaction 20 -0.00654 -0.00117 0.00537 Overreaction

No

Overreaction Overreaction 21 0.00396 0.00272 -0.00124

No

Overreaction Overreaction No

Overreaction 22 0.00322 0.00071 -0.00251

No

Overreaction Overreaction No

Overreaction

23 0.00414 0.00257 -0.00157 No

Overreaction Overreaction No

Overreaction 24 -0.00189 -0.00653 -0.00464 Overreaction

No

Overreaction No

Overreaction 25 -0.00408 0.01016 0.01424 Overreaction Overreaction Overreaction 26 0.00108 -0.00133 -0.00241

No

Overreaction No

Overreaction No

Overreaction 27 -0.00340 0.00094 0.00435 Overreaction Overreaction Overreaction 28 -0.00224 -0.00249 -0.00026 Overreaction

No

Overreaction No

Overreaction 29 0.00151 -0.00165 -0.00316

No

Overreaction No

Overreaction No

Overreaction 30 -0.00196 -0.00399 -0.00203 Overreaction

No

Overreaction No

Overreaction 31 0.00302 -0.00469 -0.00771

No

Overreaction No

Overreaction No

Overreaction 32 -0.00219 0.00373 0.00592 Overreaction Overreaction Overreaction 33 0.00067 0.00233 0.00167

No

Overreaction Overreaction Overreaction 34 0.00071 0.00353 0.00282

No

Overreaction Overreaction Overreaction 35 0.00118 0.00070 -0.00048

No

Overreaction Overreaction No

Overreaction 36 -0.00139 -0.00271 -0.00132 Overreaction

No

Overreaction No

Overreaction 37 0.00197 0.00131 -0.00066

No

Overreaction Overreaction No

Overreaction 38 0.00219 0.00410 0.00191

No

Overreaction Overreaction Overreaction 39 -0.00059 -0.00179 -0.00120 Overreaction

No

Overreaction No

Overreaction 40 0.00586 0.00167 -0.00419

No

Overreaction Overreaction No

Overreaction 41 -0.00092 0.00113 0.00206 Overreaction Overreaction Overreaction 42 0.00390 -0.00315 -0.00704

No

Overreaction No

Overreaction No

Overreaction 43 0.00202 -0.00393 -0.00594

No

Overreaction No

Overreaction No

Overreaction 44 -0.00039 -0.00229 -0.00191 Overreaction

No

Overreaction No

Overreaction 45 0.00139 0.00503 0.00364

No

Overreaction Overreaction Overreaction 46 -0.00038 0.00140 0.00178 Overreaction Overreaction Overreaction 47 0.00446 -0.00681 -0.01127

No

Overreaction No

Overreaction No

Overreaction

Lampiran 5. Hasil Analisis Reaksi Berlebihan Periode 3 Bulan

PENGUJIAN OVERREACTION BERDASARKAN NILAI ACAR

ACAR PENGUJIAN OVERREACTION

REPLIKASI WINNER LOSER SELISIH ACAR W <

0 ACAR L > 0

ACAR L - ACAR W >

0 0 0.01156 -0.00589 -0.01745

No

Overreaction No

Overreaction No

Overreaction 1 -0.00355 0.00740 0.01095 Overreaction Overreaction Overreaction 2 0.00029 -0.00350 -0.00379

No

Overreaction No

Overreaction No

Overreaction 3 0.00570 -0.01316 -0.01885

No

Overreaction No

Overreaction No

Overreaction 4 0.00866 0.00004 -0.00862

No

Overreaction Overreaction No

Overreaction 5 -0.00556 -0.00182 0.00374 Overreaction

No

Overreaction Overreaction 6 0.00160 -0.00020 -0.00180

No

Overreaction No

Overreaction No

Overreaction 7 0.00092 -0.00416 -0.00509

No

Overreaction No

Overreaction No

Overreaction 8 -0.00326 0.00548 0.00874 Overreaction Overreaction Overreaction 9 0.00029 0.00810 0.00780

No

Overreaction Overreaction Overreaction 10 -0.00630 0.00322 0.00952 Overreaction Overreaction Overreaction 11 -0.00350 0.01616 0.01966 Overreaction Overreaction Overreaction 12 -0.00125 0.00517 0.00642 Overreaction Overreaction Overreaction 13 -0.00044 -0.00455 -0.00411 Overreaction

No

Overreaction No

Overreaction 14 0.00318 0.00122 -0.00196

No

Overreaction Overreaction No

Overreaction 15 -0.00670 -0.00678 -0.00008 Overreaction

No

Overreaction No

Overreaction

Lampiran 6. Tabulasi Pengujian Firm Size, Bid-Ask Spread dan risiko sitematis Saham terhadap Price Reserval Saham pada Portofolio Winner

FORMASI CAR FIRM SIZE SPREAD

RISIKO SISTEMATIS

BBRI 1 0.06305 26.61556 0.02225 0.01406

BBRI 2 0.02014 26.50856 0.02085 0.00446

BBRI 3 0.01268 26.28830 0.01694 0.00887

BBRI 4 -0.06551 26.38276 0.01670 0.00009

BBRI 5 -0.01368 26.34664 0.01637 0.01053

BBRI 6 0.01008 26.28696 0.01519 0.00687

BBRI 7 -0.02821 26.43148 0.02048 0.00997

BBRI 8 -0.04966 26.63309 0.03239 0.01764

BBRI 9 0.00124 26.37683 0.02815 0.01426

BBRI 10 -0.10898 26.22139 0.02976 0.01608

BBRI 11 -0.02543 26.14756 0.02506 0.01464

BBRI 12 -0.04983 26.56625 0.02525 0.01303

BBRI 13 -0.08569 26.38287 0.02303 0.01800

BBRI 14 0.00768 26.25050 0.02230 0.01836

BBRI 15 0.00097 26.43198 0.02324 0.01922

BBRI 16 0.02585 26.29339 0.01491 0.00912

BBRI 17 0.00614 25.82689 0.01430 0.01044

BBRI 18 -0.02323 26.02384 0.01943 0.01449

BBRI 19 0.02306 26.20318 0.02000 0.01672

BBRI 20 0.00864 26.23655 0.01561 0.01380

BBRI 21 0.02997 26.53314 0.02384 0.01331

BBRI 22 0.05688 26.33828 0.02083 0.01286

BBRI 23 -0.10274 26.51754 0.02565 0.01390

BBRI 24 -0.06111 26.36327 0.02338 0.01444

BBRI 25 0.01505 26.41944 0.01808 0.01362

BBRI 16 0.02441 26.18373 0.02128 0.01813

BBRI 27 0.05245 26.05783 0.01395 0.01119

BBRI 28 0.11007 26.27610 0.02351 0.01606

BBRI 29 0.07524 26.40555 0.01904 0.01401

BBNI 1 -0.00224 25.67089 0.02090 0.01211

BBNI 2 -0.04456 25.42948 0.02424 0.00941

BBNI 3 -0.00189 25.09648 0.01533 0.00787

BBNI 4 0.02684 24.70357 0.02615 0.00026

BBNI 5 0.00840 25.65215 0.02097 0.00915

BBNI 6 0.03013 25.87861 0.01998 0.01123

BBNI 7 -0.01260 25.67688 0.02228 0.01351

BBNI 8 -0.18201 25.99106 0.03687 0.01261

BBNI 9 -0.07061 25.99474 0.03733 0.01790

BBNI 10 -0.08424 25.62422 0.03255 0.01873

BBNI 11 -0.02591 25.52580 0.02007 0.00936

BBNI 12 -0.00541 25.92725 0.02842 0.01680

BBNI 13 -0.11324 25.82641 0.01923 0.01533

BBNI 14 0.05366 25.70063 0.02733 0.01862

BBNI 15 -0.03493 25.72028 0.02902 0.02214

BBNI 16 -0.07616 25.63613 0.02521 0.01333

BBNI 17 0.03336 25.12569 0.01921 0.01220

BBNI 18 -0.03264 25.85990 0.02098 0.01584

BBNI 19 -0.02283 25.44829 0.01737 0.01020

BBNI 20 0.00358 25.38220 0.01697 0.00883

BBNI 21 0.06726 25.47433 0.02397 0.01809

BBNI 22 -0.06332 25.32322 0.01947 0.00964

BBNI 23 -0.16568 25.74256 0.02764 0.01395

BBNI 24 -0.02437 25.70160 0.02323 0.01331

BBNI 25 -0.03886 25.67915 0.02596 0.01703

BBNI 16 0.06153 25.24858 0.02602 0.01747

BBNI 27 0.10932 25.58513 0.02084 0.01557

BBNI 28 -0.03360 25.67078 0.02259 0.01448

BBNI 29 0.19487 25.62695 0.02243 0.01757

BMRI 1 -0.00113 26.31197 0.02169 0.00804

BMRI 2 0.02476 26.36098 0.01954 0.01095

BMRI 3 -0.04519 26.17431 0.01513 0.00637

BMRI 4 -0.03672 26.01826 0.01480 0.00009

BMRI 5 0.00531 26.09991 0.01831 0.00870

BMRI 6 0.01927 25.99412 0.01655 0.00687

BMRI 7 -0.04443 26.25033 0.02059 0.01190

BMRI 8 0.00690 26.24856 0.02844 0.01375

BMRI 9 -0.02119 26.12587 0.02032 0.01454

BMRI 10 -0.04378 25.65789 0.02408 0.01458

BMRI 11 0.02696 25.97892 0.01889 0.00793

BMRI 12 -0.04388 26.22540 0.02457 0.01052

BMRI 13 -0.05142 26.01122 0.02486 0.02003

BMRI 14 -0.05773 26.00195 0.02499 0.02212

BMRI 15 -0.00348 26.50751 0.02829 0.02553

BMRI 16 -0.02018 26.04805 0.02249 0.01786

BMRI 17 -0.05843 25.60910 0.01596 0.00962

BMRI 18 -0.01679 26.01037 0.02322 0.01693

BMRI 19 -0.01881 25.89150 0.01842 0.00801

BMRI 20 0.02294 26.13064 0.01539 0.00640

BMRI 21 0.04800 26.35624 0.02192 0.01116

BMRI 22 0.00687 26.21148 0.01834 0.01100

BMRI 23 -0.07269 26.28499 0.02410 0.01282

BMRI 24 0.04032 26.14255 0.02058 0.01079

BMRI 25 0.06379 26.32638 0.02523 0.02211

BMRI 16 0.10021 26.01686 0.02142 0.01813

BMRI 27 -0.04326 25.86959 0.01540 0.00995

BMRI 28 0.03417 26.03791 0.02333 0.01593

BMRI 29 0.07236 26.28949 0.02122 0.01244

LPKR 22 -0.13932 24.97696 0.03124 0.01543

LPKR 23 0.02395 24.81106 0.03660 0.02624

LPKR 24 -0.05625 24.73886 0.02945 0.01685

LPKR 25 -0.24613 24.67803 0.03164 0.01902

LPKR 16 -0.25498 24.85122 0.02950 0.01280

LPKR 27 -0.03945 24.61194 0.02736 0.02018

LPKR 28 -0.13872 24.46040 0.03320 0.02264

LPKR 29 0.07524 24.55777 0.03577 0.01796

PGAS 22 0.06298 25.30470 0.02189 0.01551

PGAS 23 0.03857 25.44517 0.02338 0.01744

PGAS 24 -0.10923 25.11787 0.02498 0.02061

PGAS 25 0.12740 25.89478 0.04291 0.03558

PGAS 16 0.01438 25.08054 0.03302 0.02418

PGAS 27 -0.10674 24.86945 0.03059 0.02224

PGAS 28 -0.16629 24.88658 0.02573 0.01891

PGAS 29 0.02783 25.15529 0.03504 0.02169

INTP 1 -0.04203 24.62032 0.02244 0.01021

INTP 2 -0.07511 25.19966 0.02237 0.01496

INTP 3 -0.00254 24.65137 0.01977 0.01534

INTP 4 -0.12429 24.99066 0.02057 0.00018

INTP 5 -0.09311 25.12115 0.02530 0.02369

INTP 6 -0.11109 24.97938 0.01904 0.01210

INTP 7 0.06066 24.65431 0.02051 0.01020

INTP 8 0.00240 24.45866 0.01453 0.00709

INTP 9 -0.00936 24.06555 0.02437 0.01631

INTP 10 -0.08032 24.02700 0.03459 0.02153

INTP 11 -0.12841 24.85432 0.03387 0.01801

INTP 12 -0.02498 24.54872 0.02700 0.01192

INTP 13 0.01093 23.78768 0.01524 0.00843

INTP 14 -0.15723 24.57233 0.03076 0.02710

INTP 15 -0.05160 24.49793 0.02381 0.02057

INTP 16 0.00000 23.95950 0.02585 0.01932

INTP 17 -0.01994 23.26424 0.02224 0.01934

INTP 18 0.00382 23.87372 0.00000 0.01557

INTP 19 -0.03238 24.11588 0.02296 0.01437

INTP 20 -0.04740 23.63019 0.02661 0.01777

INTP 21 -0.19248 24.08491 0.03211 0.02339

TLKM 1 -0.02381 26.11140 0.01762 0.01002

TLKM 2 0.00590 26.21078 0.01630 0.01220

TLKM 3 -0.04243 26.13448 0.01780 0.00986

TLKM 4 0.08239 26.11587 0.01745 0.00014

TLKM 5 -0.02894 25.83430 0.01287 0.00831

TLKM 6 -0.03548 26.26844 0.01528 0.00706

TLKM 7 0.00319 26.22272 0.01685 0.00906

TLKM 8 0.10257 25.85006 0.01419 0.00938

TLKM 9 0.03333 25.80384 0.01533 0.00913

TLKM 10 0.01007 25.61601 0.02098 0.01149

TLKM 11 0.06411 26.30242 0.02562 0.01154

TLKM 12 -0.06746 26.43492 0.02636 0.01445

TLKM 13 0.07940 26.50027 0.02090 0.01860

TLKM 14 0.04838 26.46953 0.02196 0.01617

TLKM 15 -0.00314 26.65425 0.02582 0.01906

TLKM 16 0.00000 26.66314 0.02261 0.01441

TLKM 17 -0.02622 26.15322 0.01684 0.01072

TLKM 18 0.04114 26.55863 0.00000 0.02173

TLKM 19 0.00758 26.70777 0.01352 0.00714

TLKM 20 -0.00596 26.46837 0.01101 0.00138

TLKM 21 0.02941 26.72476 0.01820 0.01330

Lampiran 7. Tabulasi Pengujian Firm Size, Bid-Ask Spread dan risiko sitematis Saham terhadap Price Reserval Saham pada Portofolio loser

FORMASI CAR FIRM SIZE SPREAD RISIKO SISTEMATIS

SMGR 1 0.009856 25.396345 0.021360 0.011390

SMGR 2 0.024445 25.571541 0.026082 0.012507

SMGR 3 -0.074609 25.772673 0.020964 0.014571

SMGR 4 0.023389 25.220459 0.013693 0.005939

SMGR 5 -0.015776 25.230613 0.016731 0.008041

SMGR 6 -0.017705 25.247434 0.012514 0.008432

SMGR 7 -0.040252 24.392595 0.021001 0.007376

SMGR 8 -0.136463 24.569430 0.026772 0.017107

SMGR 9 0.081338 24.677808 0.045550 0.034002

SMGR 10 0.013632 24.713231 0.040581 0.028860

SMGR 11 0.086831 24.820231 0.037443 0.023042

SMGR 12 0.024751 24.648512 0.026245 0.016016

SMGR 13 -0.118040 24.769319 0.022356 0.010623

SMGR 14 -0.025335 24.871429 0.019050 0.012449

SMGR 15 -0.016214 24.651526 0.015075 0.009480

SMGR 16 -0.000094 24.664503 0.020181 0.014270

SMGR 17 0.039571 25.644331 0.033746 0.029800

SMGR 18 -0.008838 24.597592 0.020887 0.014508

SMGR 19 -0.014057 24.732842 0.031758 0.025275

SMGR 20 0.054860 24.479879 0.024032 0.019874

SMGR 21 0.062555 24.621324 0.019780 0.013470

SMGR 22 0.062878 24.316045 0.022374 0.014549

UNTR 1 -0.062837 24.895981 0.020266 0.012609

UNTR 2 0.061836 24.928186 0.032145 0.004841

UNTR 3 0.030831 24.993592 0.024713 0.017232

UNTR 4 0.064700 24.500374 0.019262 0.009541

UNTR 5 -0.025848 24.951250 0.022465 0.016032

UNTR 6 0.111456 24.692853 0.022000 0.014401

UNTR 7 0.084162 24.586257 0.031883 0.027704

UNTR 8 0.025948 24.400548 0.029539 0.022783

UNTR 9 0.013227 24.388442 0.044560 0.030338

UNTR 10 -0.033688 24.921526 0.043284 0.023283

UNTR 11 -0.104516 24.945703 0.031424 0.016131

UNTR 12 -0.000408 24.746508 0.034053 0.031163

UNTR 13 -0.153489 24.548325 0.031166 0.015253

UNTR 14 -0.031534 24.784708 0.019516 0.016472

UNTR 15 -0.000180 24.638804 0.025243 0.027090

UNTR 16 0.005593 24.637601 0.028087 0.021906

UNTR 17 0.158747 25.105805 0.034424 0.023764

UNTR 18 0.218760 25.216435 0.028597 0.018240

UNTR 19 0.066767 25.504949 0.047190 0.035553

UNTR 20 0.109682 25.252700 0.023109 0.014735

UNTR 21 0.031140 25.676898 0.037138 0.026956

UNTR 22 0.076791 25.375794 0.037543 0.026818

UNTR 23 0.085485 24.748033 0.022820 0.013224

UNTR 24 0.160760 24.714787 0.022507 0.016322

UNTR 25 -0.163677 24.704472 0.026118 0.016941

UNTR 26 -0.037773 24.656209 0.029651 0.026819

UNTR 27 0.086341 25.004035 0.033558 0.025553

UNTR 28 0.262856 25.314636 0.036607 0.027204

UNTR 29 0.177902 25.070107 0.027049 0.021291

UNTR 30 0.165963 25.019040 0.026904 0.019398

GGRM 1 0.084774 24.593581 0.022824 0.015742

GGRM 2 0.006854 24.758250 0.026447 0.018363

GGRM 3 0.119907 24.953269 0.027438 0.015874

GGRM 4 0.028053 24.142051 0.017914 0.009665

GGRM 5 0.002142 24.145632 0.015711 0.008460

GGRM 6 -0.115798 24.555439 0.018930 0.013549

GGRM 7 0.032192 24.047427 0.024783 0.011338

GGRM 8 0.129746 24.466182 0.034324 0.017268

GGRM 9 0.035730 23.715155 0.027809 0.014464

GGRM 10 -0.049252 24.879134 0.035266 0.026428

GGRM 11 0.136185 24.719777 0.034131 0.023211

GGRM 12 0.071506 24.549529 0.025399 0.017140

GGRM 13 0.046383 25.004541 0.026304 0.018092

GGRM 14 0.011039 25.105864 0.034158 0.023252

GGRM 15 0.071358 24.358985 0.024870 0.016782

GGRM 16 -0.039417 25.132065 0.025501 0.020242

GGRM 17 -0.069324 25.374789 0.021649 0.013704

GGRM 18 0.107815 24.790187 0.019900 0.016208

GGRM 19 0.045396 24.837620 0.025399 0.023575

GGRM 20 0.052338 24.559040 0.015983 0.012708

GGRM 21 0.106077 24.891660 0.032126 0.025169

GGRM 22 -0.051199 24.824525 0.019627 0.016723

ASII 1 0.033478 26.169169 0.020602 0.017887

ASII 2 0.033492 26.585898 0.029223 0.014565

ASII 3 -0.007168 26.540003 0.021232 0.008052

ASII 4 0.028252 25.935615 0.016183 0.000450

ASII 5 -0.013830 25.745481 0.016085 0.006731

ASII 6 -0.036759 26.032860 0.021234 0.011687

ASII 7 0.043554 25.689393 0.023117 0.012377

ASII 8 -0.030174 25.386697 0.023118 0.012765

ASII 9 -0.026853 25.570989 0.033446 0.020496

ASII 10 0.058558 26.028909 0.044832 0.023152

ASII 11 0.006959 26.055992 0.030896 0.021507

ASII 12 -0.029920 26.246053 0.031861 0.020907

ASII 13 0.015755 26.394166 0.039668 0.017488

ASII 14 0.047758 26.284473 0.023436 0.015868

ASII 15 -0.061291 26.080828 0.022753 0.014208

ASII 16 0.079752 25.895266 0.028920 0.022465

ASII 17 0.035709 26.609157 0.029320 0.024472

ASII 18 0.013049 26.018284 0.018888 0.013806

ASII 19 0.002690 26.330544 0.027804 0.021926

ASII 20 0.018406 26.018393 0.014656 0.009796

ASII 21 -0.028925 26.327165 0.020388 0.013028

ASII 22 0.000797 25.842309 0.018955 0.012979

MNCN 1 0.080703 24.212103 0.020116 0.013890

MNCN 2 0.010242 24.027599 0.031308 0.024175

MNCN 3 0.018608 24.137822 0.025418 0.017769

MNCN 4 -0.020651 23.351284 0.027671 0.022734

MNCN 5 0.081721 23.447188 0.034166 0.024555

MNCN 6 0.058996 24.765392 0.015944 0.011043

MNCN 7 0.028790 23.494307 0.043488 0.034518

MNCN 8 0.085063 23.202634 0.031840 0.019172

MNCN 9 -0.041285 23.000332 0.046446 0.026114

MNCN 10 0.024111 23.622845 0.051226 0.039374

MNCN 11 -0.089611 22.436125 0.033626 0.020715

MNCN 12 0.096870 23.003916 0.049591 0.036439

MNCN 13 0.431174 24.694929 0.066881 0.041825

MNCN 14 0.150062 24.420565 0.031196 0.027304

MNCN 15 0.091094 24.158391 0.035808 0.027040

MNCN 16 0.010383 23.646396 0.030450 0.021055

MNCN 17 -0.125816 24.337967 0.042872 0.031493

MNCN 18 0.057151 23.698650 0.031865 0.020304

MNCN 19 -0.092311 23.756382 0.047177 0.037515

MNCN 20 -0.028385 24.357506 0.031194 0.025140

MNCN 21 0.037165 24.133496 0.032928 0.022275

MNCN 22 0.161068 23.637517 0.036305 0.025276

MNCN 23 0.032228 23.683167 0.026069 0.019867

MNCN 24 0.055055 24.295648 0.023880 0.016831

MNCN 25 0.135177 24.385444 0.047282 0.036900

MNCN 26 0.001188 23.904854 0.036899 0.025132

MNCN 27 -0.179221 23.949337 0.035296 0.024843

MNCN 28 -0.055157 23.671824 0.039906 0.029799

MNCN 29 0.007519 23.921922 0.026538 0.019620

MNCN 30 -0.317648 23.538485 0.032673 0.020786

ADRO 23 0.174427 24.865535 0.035293 0.026353

ADRO 24 -0.159132 24.562712 0.024339 0.016722

ADRO 25 0.211513 23.938146 0.051679 0.044801

ADRO 26 0.275608 24.352236 0.041057 0.029102

ADRO 27 0.268849 24.762996 0.041360 0.031741

ADRO 28 0.425592 24.996455 0.036958 0.029440

ADRO 29 -0.017230 24.388040 0.021110 0.015985

ADRO 30 0.162702 24.803871 0.032107 0.023248

TLKM 23 0.085869 26.185506 0.019198 0.013452

TLKM 24 -0.065436 26.122111 0.014696 0.008570

TLKM 25 0.002081 26.418481 0.023886 0.012925

TLKM 26 0.161915 26.446866 0.021043 0.016410

TLKM 27 -0.021538 26.685214 0.023844 0.018507

TLKM 28 -0.014296 26.464647 0.020427 0.016539

TLKM 29 -0.016863 26.331668 0.015303 0.010035

TLKM 30 0.038927 26.430337 0.014242 0.009594

ICBP 23 -0.037273 23.985202 0.011824 0.007930

ICBP 24 0.047412 24.295211 0.027260 0.016054

ICBP 25 0.059204 24.421515 0.028993 0.018923

ICBP 26 0.104242 24.168896 0.020061 0.013406

ICBP 27 -0.004784 24.572968 0.027612 0.020326

ICBP 28 -0.027061 24.270021 0.030841 0.022245

ICBP 29 -0.104103 24.166921 0.019101 0.011093

ICBP 30 -0.005919 24.191980 0.017439 0.009041

Lampiran 8. Output Uji Chow Portofolio Winner

Redundant Fixed Effects Tests Equation: Untitled

Test cross-section fixed effects

Effects Test Statistic d.f. Prob.

Cross-section F 1.261327 (6,135) 0.2794

Cross-section Chi-square 7.908883 6 0.2449

Cross-section fixed effects test equation:

Dependent Variable: CAR Method: Panel Least Squares Date: 09/09/18 Time: 22:37 Sample: 1 29

Periods included: 29 Cross-sections included: 7

Total panel (unbalanced) observations: 145

Variable Coefficient Std. Error t-Statistic Prob.

C -0.534140 0.193521 -2.760118 0.0065

FIRM_SIZE 0.022332 0.007300 3.059216 0.0027

SPREAD -3.924472 1.055522 -3.718038 0.0003

RISIKO_SISTEMATIS 2.306315 1.180547 1.953598 0.0527

R-squared 0.164957 Mean dependent var -0.016215 Adjusted R-squared 0.147190 S.D. dependent var 0.069346 S.E. of regression 0.064040 Akaike info criterion -2.631429 Sum squared resid 0.578253 Schwarz criterion -2.549312 Log likelihood 194.7786 Hannan-Quinn criter. -2.598062 F-statistic 9.284523 Durbin-Watson stat 1.798597 Prob(F-statistic) 0.000012

Lampiran 9 Output Uji Chow Portofolio loser

Redundant Fixed Effects Tests Equation: Untitled

Test cross-section fixed effects

Effects Test Statistic d.f. Prob.

Cross-section F 2.829804 (7,139) 0.0087

Cross-section Chi-square 19.983894 7 0.0056

Cross-section fixed effects test equation:

Dependent Variable: CAR Method: Panel Least Squares Date: 09/10/18 Time: 02:01 Sample: 1 240

Periods included: 30 Cross-sections included: 8

Total panel (unbalanced) observations: 150

Variable Coefficient Std. Error t-Statistic Prob.

C -0.497981 0.243006 -2.049256 0.0422

FIRM_SIZE 0.017314 0.009438 1.834537 0.0686

SPREAD 1.352348 1.786609 0.756936 0.4503

RISIKO_SISTEMATI

S 3.125075 2.115205 1.477434 0.1417

R-squared 0.123550 Mean dependent var 0.030643 Adjusted R-squared 0.105541 S.D. dependent var 0.098622 S.E. of regression 0.093272 Akaike info criterion -1.880285 Sum squared resid 1.270156 Schwarz criterion -1.800002 Log likelihood 145.0214 Hannan-Quinn criter. -1.847669 F-statistic 6.860390 Durbin-Watson stat 1.546648 Prob(F-statistic) 0.000235

Lampiran 10. Output Common Effect Model Portofolio Winner

Dependent Variable: CAR Method: Panel Least Squares Date: 09/09/18 Time: 22:34 Sample: 1 29

Periods included: 29 Cross-sections included: 7

Total panel (unbalanced) observations: 145

Variable Coefficient Std. Error t-Statistic Prob.

C -0.534140 0.193521 -2.760118 0.0065

FIRM_SIZE 0.022332 0.007300 3.059216 0.0027

SPREAD -3.924472 1.055522 -3.718038 0.0003

RISIKO_SISTEMATIS 2.306315 1.180547 1.953598 0.0527

R-squared 0.164957 Mean dependent var -0.016215 Adjusted R-squared 0.147190 S.D. dependent var 0.069346 S.E. of regression 0.064040 Akaike info criterion -2.631429 Sum squared resid 0.578253 Schwarz criterion -2.549312 Log likelihood 194.7786 Hannan-Quinn criter. -2.598062 F-statistic 9.284523 Durbin-Watson stat 1.798597 Prob(F-statistic) 0.000012

Lampiran 11. Output Fixed Effect Model Portofolio Loser

Dependent Variable: CAR Method: Panel Least Squares Date: 09/10/18 Time: 01:59 Sample: 1 240

Periods included: 30 Cross-sections included: 8

Total panel (unbalanced) observations: 150

Variable Coefficient Std. Error t-Statistic Prob.

C -1.194796 0.483613 -2.470561 0.0147

FIRM_SIZE 0.045907 0.019471 2.357746 0.0198

SPREAD 2.321456 1.763027 1.316745 0.1901

RISIKO_SISTEMATIS 0.995592 2.122702 0.469021 0.6398 Effects Specification

Cross-section fixed (dummy variables)

R-squared 0.232872 Mean dependent var 0.030643 Adjusted R-squared 0.177683 S.D. dependent var 0.098622 S.E. of regression 0.089432 Akaike info criterion -1.920178 Sum squared resid 1.111726 Schwarz criterion -1.699398 Log likelihood 155.0133 Hannan-Quinn criter. -1.830482 F-statistic 4.219539 Durbin-Watson stat 1.751986 Prob(F-statistic) 0.000040